Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0283
Annualized Std Dev 0.2150
Annualized Sharpe (Rf=0%) 0.1317

Row

Daily Return Statistics

Close
Observations 3714.0000
NAs 1.0000
Minimum -0.1162
Quartile 1 -0.0041
Median 0.0004
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0052
Maximum 0.1002
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0135
Skewness -0.2953
Kurtosis 12.7330

Downside Risk

Close
Semi Deviation 0.0098
Gain Deviation 0.0103
Loss Deviation 0.0115
Downside Deviation (MAR=210%) 0.0143
Downside Deviation (Rf=0%) 0.0097
Downside Deviation (0%) 0.0097
Maximum Drawdown 0.6974
Historical VaR (95%) -0.0191
Historical ES (95%) -0.0343
Modified VaR (95%) -0.0197
Modified ES (95%) -0.0291
From Trough To Depth Length To Trough Recovery
2007-05-31 2009-03-05 2014-11-10 -0.6974 1877 445 1432
2020-01-21 2020-03-23 NA -0.3765 295 44 NA
2018-01-29 2018-12-24 2019-11-01 -0.1742 445 229 216
2015-02-17 2015-08-25 2016-03-17 -0.1418 274 133 141
2016-07-25 2016-11-04 2017-02-21 -0.0823 146 74 72

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 0.3 -0.2 0.3 -0.4 -0.3 0 -0.5 -0.8
2007 0.5 -0.2 -0.1 0.3 0.1 -0.4 1 1 1.5 -3.4 1.5 -0.2 1.6
2008 2.1 -3.3 5.2 3.2 -0.6 0.5 0.4 -0.6 2.4 1.5 -11.6 2.5 0.7
2009 -3.5 -4.2 2.3 0.1 2.1 0.3 0.6 -3.5 -3 -3.5 1 -1.2 -12
2010 0.8 0.7 0.8 -1 -1.5 -0.1 -0.1 2.4 0.4 -0.2 1.5 -0.1 3.4
2011 1.1 -1.1 0 0 -1.4 1 -0.4 -0.7 -1.2 -2.1 -0.3 -0.3 -5.4
2012 0.7 0.2 0.6 0.4 -1.6 1.7 -0.1 0.2 0.2 0.4 0.2 1.3 4.2
2013 0.8 0.2 -0.1 -0.9 -1.4 0 0.8 -0.2 0.7 0.3 -0.2 0.1 0.1
2014 -0.4 0.7 0.2 -0.1 0.4 0.3 -0.1 0.5 -0.9 1.2 -0.1 -1.1 0.5
2015 -1.3 0 0 0.5 0 0.5 -0.2 -2.8 -0.1 -0.2 0.9 -0.6 -3.4
2016 -0.1 1.6 0.2 -0.3 0 0.1 -0.6 0.1 0.5 -0.9 -0.6 -0.2 -0.3
2017 -0.7 0.6 -0.2 -0.1 0.9 0.1 0.1 0.3 0 0.2 0 -0.3 1.1
2018 -0.1 -0.7 0.8 -0.3 0.4 0.1 -0.4 -0.2 0 0.5 0.9 0.3 1.3
2019 0.2 0.4 0.9 -0.8 -1.2 0.3 -1.1 0.3 -1.2 1 -0.4 0.4 -1.3
2020 -1.1 -1.7 -4.7 -3 -0.2 -0.1 -0.5 -0.7 0.1 0.2 1.1 0.8 -9.4
2021 0.5 1.8 -0.3 NA NA NA NA NA NA NA NA NA 1.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-06-16  50.0 SPY    125. -0.0073 -0.00120  -0.013   -0.0415   0.0313    0.232  -0.0071 GLD    57.7  0.0063  -0.0458
2 2006-06-19  49.8 SPY    124. -0.0079 -0.0026   -0.0201  -0.0517   0.019     0.218  -0.0176 GLD    56.4 -0.0229  -0.0611
3 2006-06-20  49.9 SPY    124.  0.0034  0.0126   -0.0237  -0.0424   0.0222    0.241  -0.0057 GLD    57.3  0.0167   0.0247
4 2006-06-21  50   SPY    125.  0.0074  0.0122   -0.0089  -0.0412   0.0291    0.257   0.0247 GLD    58.3  0.018    0.0487
5 2006-06-22  49.7 SPY    124. -0.0044 -0.0132   -0.0057  -0.0434   0.0238    0.265   0.0214 GLD    57.7 -0.0103   0.0072
6 2006-06-23  49.7 SPY    124. -0.0002 -0.0017   -0.0137  -0.0443   0.0382    0.263   0.0262 GLD    58.0  0.0045   0.0054
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart